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mengmeng12/README.md

Hi, I'm Shuchen Meng

M.S. Financial Engineering at NYU Tandon, 2027. I work on quantitative trading, execution, and market microstructure, after four years in the Trading Department of the Zhengzhou Commodity Exchange.

I'm looking for full-time quant research, trading, and execution roles starting in 2027.

Selected projects (each has a full write-up on my website)

Project Question Stack
VWAP execution research engine · write-up How should a 50,000-share SPY order be spread across the day, and how did it do against market VWAP? C++, multithreading
Avellaneda–Stoikov market making · write-up Does inventory-aware quoting control risk on real intraday price paths? Python, stochastic control
SmolLM2 tool use · write-up Can a 135M-parameter model learn when, and how, to call a Black–Scholes pricer? PyTorch, TRL, GRPO, DPO
Financial sentiment with DistilBERT · write-up What is behind the ceiling near 0.95 macro-F1 on Financial PhraseBank? PyTorch, LoRA
Regime-aware trading and execution platform · write-up How much risk should a set of strategies carry, and how should it be executed? (industry-sponsored capstone, private code) Python, HMM

Website · LinkedIn · Google Scholar · CV · sm13533@nyu.edu

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  1. avellaneda-stoikov-market-making avellaneda-stoikov-market-making Public

    Avellaneda–Stoikov inventory-aware market making replayed on one-minute AAPL, MSFT and NVDA bars, benchmarked against a fixed-spread quoter.

    Jupyter Notebook 1

  2. financial-phrasebank-distilbert-study financial-phrasebank-distilbert-study Public

    This repository contains a full experimental notebook for three-way financial sentiment classification on the Financial PhraseBank sentences_allagree subset using distilbert-base-uncased.

    Jupyter Notebook 1

  3. Nelson-Siegel-model-master Nelson-Siegel-model-master Public

    Undergraduate thesis: Nelson–Siegel–Svensson yield curves for Chinese and US Treasuries, with PCA level, slope and curvature factors linked to macro variables.

    Jupyter Notebook 1 1

  4. smollm2-quant-tool-use-RFT smollm2-quant-tool-use-RFT Public

    Teaching SmolLM2-135M to call a Black–Scholes pricing tool with the right units, and to know when not to call it (SFT, LoRA, GRPO, DPO).

    Jupyter Notebook 1

  5. VWAP-execution-research-project VWAP-execution-research-project Public

    Multithreaded C++ engine that builds intraday volume profiles from 2 GB+ of SPY trade data, schedules a VWAP parent order, and measures execution cost against market VWAP.

    C++ 1

  6. classic_investment_paper_implementation classic_investment_paper_implementation Public

    This is a collection of my investment assignments. I implemented some classic papers during the course of investment studies

    SAS 1